Multiobjective Efficient Portfolio Selection with Bounded Parameters

In this paper, a multiobjective portfolio selection model is studied, wherein all parameters like return, risk, etc., as well as decision variables are varying in intervals. A methodology is developed using interval analysis to derive an acceptable efficient portfolio. The theoretical developments are justified by assigning the degree of acceptability to every feasible portfolio as well as assigning goals to each objective function. This theoretical development is illustrated in a portfolio selection model with data from Bombay Stock Exchange, India, which justifies that the results obtained by the proposed method are close enough to the existing result.